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Henrik was born in Talence, Gironde, France. He was the son of Count André de Laborde de Monpezat (Mont-de-Marsan, 6 May 1907 – Le Cayrou, 23 February 1998) and his wife, Renée Doursenot (Périgueux, 26 October 1908 – Le Cayrou 11 February 2001), (married religiously Cahors, 6 January 1934 and civilly Cahors 22 January 1948), who was previously married firstly civilly in Paris on 29 September 1928 and divorced at the Tribunal Civil Français de Saigon on 21 September 1940 Louis Leuret (Châteauneuf-sur-Loire, 18 March 1881 – Saigon, South Vietnam, 29 December 1962). He was raised as Catholic.

He spent his first five years in French Indochina (now Vietnam) where his father was in charge of family business interests. He returned to Hanoi in 1950, graduating from the French secondary school there in 1952. Between 1952 and 1957 he simultaneously studied law and political science at the Sorbonne, Paris, and Chinese and Vietnamese at the École Nationale des Langues Orientales (now known as INALCO). He also studied in Hong Kong in 1957 and Saigon in 1958.

After military service with the French Army in the Algerian War between 1959 and 1962, in 1962 he joined the French Foreign Affairs ministry, working as a Secretary at the embassy in London from 1963 to 1967.

The Queen and The Prince Consort have two children and seven grandchildren:

His Royal Highness Frederik André Henrik Christian, Crown Prince of Denmark, Count of Monpezat, born on 26 May 1968. He was married on 14 May 2004 to Mary Elizabeth Donaldson, who was born on 5 February 1972. They have four children:

His Royal Highness Prince Christian Valdemar Henri John of Denmark, Count of Monpezat, born on 15 October 2005.

Her Royal Highness Princess Isabella Henrietta Ingrid Margrethe of Denmark, Countess of Monpezat, born on 21 April 2007.

His Royal Highness Prince Vincent Frederik Minik Alexander of Denmark, Count of Monpezat, born on 8 January 2011

Her Royal Highness Princess Josephine Sophia Ivalo Mathilda of Denmark, Countess of Monpezat, born on 8 January 2011

His Royal Highness Prince Joachim Holger Waldemar Christian of Denmark, Count of Monpezat, born on 7 June 1969. He was married on 18 November 1995 to Alexandra Christina Manley, who was born on 30 June 1964. They divorced on 8 April 2005. He was married on 24 May 2008 to Marie Agathe Odile Cavallier, who was born on 6 February 1976. He has three sons:

His Highness Prince Nikolai William Alexander Frederik of Denmark, Count of Monpezat, born on 28 August 1999.

His Highness Prince Felix Henrik Valdemar Christian of Denmark, Count of Monpezat, born on 22 July 2002.

His Highness Prince Henrik Carl Joachim Alain of Denmark, Count of Monpezat, born on 4 May 2009.

Prince Henrik's native language is French, and his second language is Danish. Although he quickly learned Danish after marrying Margrethe, Danes still joke about his grasp of Danish and his thick French accent. He also speaks fluent English, Chinese, and Vietnamese.

In 2006 the Danish railway magazine Ud&Se brought an interview with Prince Henrik, in which he talked about his dogs, food and his childhood in Vietnam, among other things. The prince mentioned having eaten dog meat once, on an occasion where it was served for him. A month later a Danish tabloid used part of this interview in a critical article with the front-page headline 'Prince Henrik eats dog'. Other tabloids and newspapers picked up on this and Prince Henrik was subject to somewhat of a press-grilling for "eating dog meat" despite being honorary president of the Danish Dachshund Club.

In 2002, Henrik left Denmark and went to stay at the couple's Château de Caïx in Cahors in southern France. The reason for Henrik's departure from Denmark was due to a New Year's Day reception in which his son, Crown Prince Frederik, was appointed host in the absence of Queen Margrethe. Henrik felt "pushed aside, degraded and humiliated" at the fact that he was relegated to "third place in the royal hierarchy."

"For many years I have been Denmark's number two," he said. "I've been satisfied with that role, but I don't want to be relegated to number three after so many years." Henrik "fled" Denmark to reflect on his status in the Danish Royal Family. Queen Margrethe flew to France to meet with her husband. Henrik stressed that neither his wife or son were to blame for the incident. The Prince Consort spent three weeks in Caix, and did not appear with his wife as expected at the Dutch wedding of Willem-Alexander, Prince of Orange and Máxima Zorreguieta. After three weeks, Henrik returned to Denmark and resumed his royal duties.

On 30 April 2008, shortly before the wedding of his younger son, Prince Joachim, to Miss Marie Cavallier, the title "Count of Monpezat" (Danish: Greve af Monpezat), was conferred by the Queen on both of her sons, and made hereditary for their male-line descendants, both male and female. The Queen's Private Secretary Henning Fode commented, "The Queen and the Prince Consort have considered this for quite some time, and it has led to the belief that it was the right thing to do."

In fact, Henrik had mentioned this possibility as long ago as 1996, in his published memoir, "During our generation the future sovereign will perhaps receive approval to see 'Monpezat' added to the dynastic name of 'Oldenbourg-Glücksbourg'". While being interviewed by the French weekly Point de Vue in October 2005, Henrik raised the issue shortly after the birth of Crown Prince Frederik's first son, Prince Christian, who is expected to inherit the Danish crown one day: "It also makes him very proud and happy that Monpezat will be added to this small grandson's future name as Prince of Denmark. 'It is a great joy for me that his French roots will also be remembered.'" Although no announcement was made at that time, Prince Christian does now include (part of) his French grandfather's surname among his hereditary titles. The grant does not extend this Danish comital title to Henrik himself.

The Laborde de Monpezat family style themselves as counts, though their right to the use of that title is disputed: The Encyclopédie de la fausse noblesse et de la noblesse d'apparence (English: Encyclopedia of False and Seeming Nobility) states that Prince Henrik's ancestor, Jean Laborde, received royal letters patent of ennoblement in 1655, conditional on his reception as a noble in the Estates of the province of Béarn where his lands were located. But this condition was never fulfilled, as the Estates refused Laborde's petitions in 1703 and again in 1707. The family's surname was "Monpezat" by the time of the French Revolution, without title, until 14 July 1860, when it was changed by imperial decree to "de Laborde-Monpezat", and legally changed again on 19 May 1861 to "de Laborde de Monpezat". Although the comital title has been used by the family as if it were a titre de courtoisie, traditionally the royal court and French society accepted such titles when used by genuinely noble families. On the other hand, since the title was assumed by Henrik's ancestor prior to the twentieth century, it is possible he was unaware of the misuse until his family's history was scrutinized by genealogists after his marriage. Henrik's 1996 autobiography acknowledges the unsuccessful ennoblement.

As protocol dictates, I had to ask my uncle, King Frederick IX, if he had any objections to my getting engaged ... I knew I would have to renounce my title of prince and my right of succession if I married her. I was number four in the line of succession after Princess Margrethe, Princess Benedikte, and my father. My brother, Ingolf, had two years previously lost his princely title and succession right when he married a commoner, Countess Inge. Now I was ready to follow him. To me, it didn't matter if I were in line for the throne or not...My uncle, of course, had nothing against a union between Anne Dorte and me.Decades later, Henrik's sons Frederik and Joachim both married foreign commoners without any serious doubt about their eligibility to the throne being raised.